| Overall Statistics |
|
Total Trades 5520 Average Win 0.40% Average Loss -0.70% Compounding Annual Return -96.258% Drawdown 99.000% Expectancy -0.154 Net Profit -96.292% Sharpe Ratio -0.305 Probabilistic Sharpe Ratio 4.632% Loss Rate 46% Win Rate 54% Profit-Loss Ratio 0.58 Alpha -0.84 Beta 1.466 Annual Standard Deviation 1.731 Annual Variance 2.997 Information Ratio -0.429 Tracking Error 1.725 Treynor Ratio -0.36 Total Fees $11088.90 Estimated Strategy Capacity $160000000.00 Lowest Capacity Asset CL JL |
class ContinuousFutureRegressionAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetCash(100000)
self.SetStartDate(2019, 1, 1)
self.SetEndDate(2020, 1, 1)
self._lastDateLog = -1
self._continuousContract = self.AddFuture(Futures.Energies.CrudeOilWTI,
dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
dataMappingMode = DataMappingMode.OpenInterest,
contractDepthOffset = 0)
self.slow_sma = self.SMA(self._continuousContract.Symbol, 20, Resolution.Daily)
self.fast_sma = self.SMA(self._continuousContract.Symbol, 5, Resolution.Daily)
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Midnight, self.PlotPrices);
self.SetWarmUp(20, Resolution.Daily)
def PlotPrices(self):
if self._continuousContract.HasData:
self.Plot(self._continuousContract.Symbol.ID.Symbol, self._continuousContract.Symbol.ID.Symbol, self._continuousContract.Price)
self.Plot(self._continuousContract.Symbol.ID.Symbol, "Slow", self.slow_sma.Current.Value)
self.Plot(self._continuousContract.Symbol.ID.Symbol, "Fast", self.fast_sma.Current.Value)
def OnData(self, data):
if self.IsWarmingUp: return
for changedEvent in data.SymbolChangedEvents.Values:
if changedEvent.Symbol == self._continuousContract.Symbol:
self.Log(f"SymbolChanged event: {changedEvent}")
if self.fast_sma > self.slow_sma:
self.SetHoldings(self._continuousContract.Symbol, 1)
else:
if self.fast_sma < self.slow_sma:
self.SetHoldings(self._continuousContract.Symbol, -1)
if self._lastDateLog != self.Time.month:
self._lastDateLog = self.Time.month
response = self.History( [ self._continuousContract.Symbol ], 60 * 24 * 90)
if response.empty:
raise ValueError("Unexpected empty history response")
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))